CAJ | 학술논문

运用1分钟高频数据对我国三个市场、六个品种的商品期货的收益率和交易量的日内变动模式进行研究,得出了日内绝对收益率及交易量的＂L＂型变化模式.这跟证券市场的＂U＂型日内特征不同,我们根据金融市场微观结构理论、交易机制及交易者心理给予解释.在此基础上,利用Granger因果关系检验和向量自回归模型（VAR）,研究了影响收益波动性的各种因素.结果表明绝对收益率与交易量、持仓量之间两两存在双向Granger因果关系,这是与股市的只存在由交易量到绝对收益率的单向Granger因果关系不一样的结论,原因在于期货市场的做空机制.通过对VAR模型进行方差分解和脉冲响应分析,实证分析了三者之间的动态关系及影响程度.结论表明：当以绝对价格波动作为被解释变量时,其自身的滞后项可以解释90%左右的残差扰动,交易量可以解释10%左右的的残差扰动.当以交易量作为被解释变量时,其自身的滞后项可以解释80%左右的残差扰动,绝对价格波动可以解释20%左右的残差扰动.当以持仓量作为被解释变量时,其自身的滞后阶数解释了45%-70%的残差扰动,交易量解释了25%-45%的残差扰动,绝对价格波动解释了5%-10%.各方程变量解释基本都稳定在20-30分钟后.实证结果还表明持仓量对绝对价格波动和交易量有微弱的影响,而绝对价格波动与交易量有较强的互动影响,并且就此给投资者以相关建议.
운용1분종고빈수거대아국삼개시장、륙개품충적상품기화적수익솔화교역량적일내변동모식진행연구,득출료일내절대수익솔급교역량적＂L＂형변화모식.저근증권시장적＂U＂형일내특정불동,아문근거금융시장미관결구이론、교역궤제급교역자심리급여해석.재차기출상,이용Granger인과관계검험화향량자회귀모형（VAR）,연구료영향수익파동성적각충인소.결과표명절대수익솔여교역량、지창량지간량량존재쌍향Granger인과관계,저시여고시적지존재유교역량도절대수익솔적단향Granger인과관계불일양적결론,원인재우기화시장적주공궤제.통과대VAR모형진행방차분해화맥충향응분석,실증분석료삼자지간적동태관계급영향정도.결론표명：당이절대개격파동작위피해석변량시,기자신적체후항가이해석90%좌우적잔차우동,교역량가이해석10%좌우적적잔차우동.당이교역량작위피해석변량시,기자신적체후항가이해석80%좌우적잔차우동,절대개격파동가이해석20%좌우적잔차우동.당이지창량작위피해석변량시,기자신적체후계수해석료45%-70%적잔차우동,교역량해석료25%-45%적잔차우동,절대개격파동해석료5%-10%.각방정변량해석기본도은정재20-30분종후.실증결과환표명지창량대절대개격파동화교역량유미약적영향,이절대개격파동여교역량유교강적호동영향,병차취차급투자자이상관건의.
This paper adopts minutely high-frequency data of yields, volumes and open interests of the six cormnodities futures in three exchanges of China to probe into their intraday change patterns, and discovers the ‘L＇ pattern intraday movement of absolute yield and volume. We exert financial market microstructure theory, traders＇ psychology and trading mechanism to explain the different intraday phenomenon between the futures market and the stock market, which has a distinctive‘U＇ pattern. Basing on this, by the help of Granger causality test theories and Vector Autoregressive models （VAR）, we study the factors that influence the volatility of yields and the lagged orders. The results show that there are two-way Granger causality among each two of the absolute yield, volmne and open interest, which is different from the empirical result of the stock market that there is a one-way Granger causality from volmnc to abolute yield, and the difference comes from the short mechanism of futures market. Through the decomposition of variance of VAR models and the impulse response analysis, we empirically analyze the dynamic relationship among the three factors. The conclusion shows that： when we treat the volatility of absolute yield as an explained variable, the residual disturbance can be explained about 90% by its lagged terms, and volume can explain about 10%. When volume is interpreted as an explained variable, about 80% of the residual disturbance can beexplained by its lagged tetras and the volatility of the absolute price explains about 20%. When open interest is considered as an explained variable, lagged tetras of its own interprets about 45% to 70% of the residual dis, the volume explains 2.5% - 45%, and the volatility of absolute price explains 5% to 10%. All the explanatory variables reach stable about 20 - 30 minutes later. Empirical result tells the weak impact from open interest to volatility of absolute yield and volume and the strong correlation between volatility of absolute yield and volume. Some investment suggestions are offered from the analysis mentioned above.